Efficiently computes the density of observations for a generic multivariate Gaussian distribution.

dmvnorm(data, mean, sigma, log = FALSE)

Arguments

data

A numeric vector, matrix, or data frame of observations. Categorical variables are not allowed. If a matrix or data frame, rows correspond to observations and columns correspond to variables.

mean

A vector of means for each variable.

sigma

A positive definite covariance matrix.

log

A logical value indicating whether or not the logarithm of the densities should be returned.

Value

A numeric vector whose ith element gives the density of the ith observation in data for the multivariate Gaussian distribution with parameters mean and sigma.

See also

Examples

# univariate ngrid <- 101 x <- seq(-5, 5, length = ngrid) dens <- dmvnorm(x, mean = 1, sigma = 5) plot(x, dens, type = "l")
# bivariate ngrid <- 101 x1 <- x2 <- seq(-5, 5, length = ngrid) mu <- c(1,0) sigma <- matrix(c(1,0.5,0.5,2), 2, 2) dens <- dmvnorm(as.matrix(expand.grid(x1, x2)), mu, sigma) dens <- matrix(dens, ngrid, ngrid) image(x1, x2, dens)
contour(x1, x2, dens, add = TRUE)